Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0790 |
| Annualized Std Dev | 0.1911 |
| Annualized Sharpe (Rf=0%) | 0.4134 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3009.0000 |
| NAs | 1.0000 |
| Minimum | -0.1226 |
| Quartile 1 | -0.0049 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0064 |
| Maximum | 0.0798 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0001 |
| Stdev | 0.0120 |
| Skewness | -0.9331 |
| Kurtosis | 10.8239 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0090 |
| Gain Deviation | 0.0078 |
| Loss Deviation | 0.0099 |
| Downside Deviation (MAR=210%) | 0.0136 |
| Downside Deviation (Rf=0%) | 0.0088 |
| Downside Deviation (0%) | 0.0088 |
| Maximum Drawdown | 0.4680 |
| Historical VaR (95%) | -0.0178 |
| Historical ES (95%) | -0.0296 |
| Modified VaR (95%) | -0.0198 |
| Modified ES (95%) | -0.0481 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2018-01-29 | 2020-03-23 | 2021-02-08 | -0.4680 | 763 | 541 | 222 |
| 2011-05-02 | 2011-12-28 | 2014-02-28 | -0.2913 | 712 | 168 | 544 |
| 2014-07-07 | 2016-02-11 | 2017-08-31 | -0.2747 | 797 | 405 | 392 |
| 2010-04-15 | 2010-05-26 | 2010-09-20 | -0.1853 | 110 | 30 | 80 |
| 2010-01-15 | 2010-02-08 | 2010-04-01 | -0.1248 | 53 | 16 | 37 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | NA | 1.8 | 2 | 1.2 | 1.5 | -2.6 | -2.6 | -3.2 | 2.7 | -0.2 | 0.4 |
| 2010 | 1.7 | 0.8 | 1.8 | -1 | -0.9 | 0.9 | 0.4 | 3 | 1.4 | 0.1 | 2.7 | 1.1 | 12.4 |
| 2011 | 2.1 | -0.7 | 0.6 | 0.3 | -1.7 | 1.1 | -0.3 | -1.2 | -2.9 | -3 | -1.2 | 0.7 | -6.2 |
| 2012 | 1.9 | 0.6 | 1 | 0.8 | -2.5 | 3.3 | 0 | 1.3 | 0.8 | 1.4 | 0 | 1.6 | 10.5 |
| 2013 | 0.9 | 0.1 | -1.3 | -0.7 | -1.6 | 1.1 | 1.5 | -0.6 | 0.9 | -0.4 | 0.3 | 0.5 | 0.7 |
| 2014 | -0.8 | 0.8 | 0.9 | 0 | 0.1 | 0.7 | -0.6 | 0.1 | -1.3 | 0.9 | -0.5 | -0.1 | 0.2 |
| 2015 | -0.7 | 0.3 | 0.8 | 0.3 | 0.1 | 0.1 | 0.5 | -2.7 | 0.4 | 0 | 1.2 | -0.9 | -0.8 |
| 2016 | 0.2 | 2.3 | -0.1 | 0.2 | 0.1 | 0.8 | -0.7 | 0.9 | 0.6 | -0.2 | -0.1 | 0.1 | 4 |
| 2017 | 0.6 | 0.9 | 0 | 0.2 | 0.9 | 0.7 | 0.2 | 0.5 | 0.7 | 0.2 | -0.7 | 0.4 | 4.7 |
| 2018 | 0.3 | -1 | 1.2 | -0.3 | 0.6 | 1 | -0.2 | -0.2 | 0.1 | 2.4 | -0.2 | 0.4 | 4.1 |
| 2019 | -0.2 | 0.5 | 1.3 | -0.9 | -0.5 | 0.5 | -0.9 | 0.5 | -0.8 | 1.1 | -0.7 | 0.6 | 0.8 |
| 2020 | -1.5 | -0.6 | -3.9 | -2.3 | 2.4 | 0.5 | -0.9 | 0.5 | 1.1 | -0.5 | 2.2 | -0.4 | -3.5 |
| 2021 | 1.7 | 2 | 1.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.9 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-04-06 52.6 SPY 83.6 -0.0078 0.061 0.213 -0.0996 -0.390 -0.360 -0.271 GLD 85.3 -0.0265 -0.0523
2 2009-04-07 51.4 SPY 81.6 -0.0233 0.0268 0.199 -0.126 -0.403 -0.377 -0.292 GLD 86.7 0.0172 -0.0392
3 2009-04-08 52.1 SPY 82.5 0.0108 0.0181 0.144 -0.0898 -0.392 -0.369 -0.282 GLD 86.6 -0.0015 -0.0486
4 2009-04-09 53.8 SPY 85.8 0.0397 0.0285 0.181 -0.0575 -0.369 -0.338 -0.251 GLD 86.3 -0.0035 -0.028
5 2009-04-13 54.7 SPY 85.8 0.0002 0.0186 0.137 -0.0366 -0.356 -0.338 -0.250 GLD 87.9 0.0182 0.0033
6 2009-04-14 54.3 SPY 84.4 -0.0172 0.009 0.109 -0.0299 -0.366 -0.344 -0.265 GLD 87.4 -0.00580 0.0246
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
